one thing I have noticed is that almost everything that is new and in the best selling books is pure crap. You don't know if anything is really good until it has been around for years and has been through both a bull and a bear market. I don't think there is any reason to worry about arcane stuff like "wavelets". Let the other people screw around with that stuff for a few years first, if it is really any good it will still be good in the future. After all, there is no point making money on a hot new thing for a few months and then going totally broke.
Lets build a trading system
- Thread starter wdbaker
- Start date
i'm not necessarily disagreeing, but what's something simple that you know works?
Sure. The underlying theory can be quite complicated. Your analytic model may consider quite a bit of data and perform calculations that many folks would consider complex. However, the best systems / models that I have seen over time have the property that they can be stated simply - a few relationships or calculations that form the basis for a particular signal. When your thesis can be simply stated and modeled without the need to perform overly complicated calculations then you usually are on to something ..... If you need to resort to ever more complex mathematics and ever more complex calculations to reach a conclusion then you probably need to go back and re-examine your assumptions. Again its just my personal observation that over time successful traders have used relatively simple models. They did not need large computing power to run their models - they were modest - and the systems still depended upon adjustments by a person: they were not completely automated.
Someone mentioned earlier the Pardise Trading system at stockhits.com. I recently completed coding this system in Wealth-Lab and would like to share some of my experience with it. To explain a bit the Paradise System mainly looks for reversals indicated by various candlestick patterns. It took a while to code as there where many refinements one must make to get the pattern recognition right. Anyhow lets cut to the performance:
Testing on QQQ 1 min data for all of 2001
Before commissions and slippage the system returned $10,000 profit on a constant 800 shares of QQQ (1 emini contact)
After commission and slippage the system returned a -$30,000 return during the same period
I also put the system through a number of different filters, extremely high trend values, extremely low trend values, etc. but the results were relatively the same.
While one might think that the system is completely useless based on the results I have actually been using it with some success purely as an indicator for discretionary trading. Being a pattern recognition system it basically alerts me in real time various hesitations going on in the market. I then use this input combined with S/R and other inputs to help make my decisions. While some may have a problem with this approach it works for me.
Good thread. Keep up the good work everyone.
Testing on QQQ 1 min data for all of 2001
Before commissions and slippage the system returned $10,000 profit on a constant 800 shares of QQQ (1 emini contact)
After commission and slippage the system returned a -$30,000 return during the same period
I also put the system through a number of different filters, extremely high trend values, extremely low trend values, etc. but the results were relatively the same.
While one might think that the system is completely useless based on the results I have actually been using it with some success purely as an indicator for discretionary trading. Being a pattern recognition system it basically alerts me in real time various hesitations going on in the market. I then use this input combined with S/R and other inputs to help make my decisions. While some may have a problem with this approach it works for me.
Good thread. Keep up the good work everyone.
Originally posted by opmtrader
Someone mentioned earlier the Pardise Trading system at stockhits.com. I recently completed coding this system in Wealth-Lab and would like to share some of my experience with it. To explain a bit the Paradise System mainly looks for reversals indicated by various candlestick patterns. It took a while to code as there where many refinements one must make to get the pattern recognition right. Anyhow lets cut to the performance:
Testing on QQQ 1 min data for all of 2001
Before commissions and slippage the system returned $10,000 profit on a constant 800 shares of QQQ (1 emini contact)
After commission and slippage the system returned a -$30,000 return during the same period
I also put the system through a number of different filters, extremely high trend values, extremely low trend values, etc. but the results were relatively the same.
While one might think that the system is completely useless based on the results I have actually been using it with some success purely as an indicator for discretionary trading. Being a pattern recognition system it basically alerts me in real time various hesitations going on in the market. I then use this input combined with S/R and other inputs to help make my decisions. While some may have a problem with this approach it works for me.
Good thread. Keep up the good work everyone.
opmtrader,
Have you tried coding it with only the lagging part?
wdbaker